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Exchange options under clustered jump dynamics - MaRDI portal

Exchange options under clustered jump dynamics (Q5139207)

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scientific article; zbMATH DE number 7282757
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English
Exchange options under clustered jump dynamics
scientific article; zbMATH DE number 7282757

    Statements

    title
    Exchange options under clustered jump dynamics (English)
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    author
    Yong Ma
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    Dongtao Pan
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    Tianyang Wang
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    publication date
    7 December 2020
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    zbMATH Keywords
    exchange option
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    Hawkes jump-diffusion process
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    Greeks
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    optimal hedging
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    implied beta
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    Identifiers

    zbMATH DE Number
    7282757
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    OpenAlex ID
    W3003695566
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